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Before the fall was the Turkish lira overvalued?
Author
Source
Economic Research Forum : Working Paper Series
Issue
Vol. 2002, Issue 201-240 (31 Dec. 2002)18 p.
Publisher
Economic Research Forum for the Arab Countries Iran and Turkey
Publication Date
2002-12-31
Country of Publication
Egypt
No. of Pages
18
Main Subjects
Topics
Abstract EN
This paper examines validity of purchasing power parity to evaluate whether the Turkish Lira was overvalued on the eve of 2001 crises.
Univariate and multivariate time series techniques are used to test whether the real exchange rate is mean reverting.
Half-life of deviation from purchasing power parity for various definitions is derived.
The Johansen co integration test procedure is applied to bilateral exchange rates using CPI and WPI price indexes.
Finally, different measures of misalignments are calculated.
Evidence provided that calculated half lives are, in general, short compared to low inflation countries.
Further, data supports the long-run relationships among exchange rates, domestic and foreign prices.
Calculated misalignments give mixed results on bilateral exchange rates based on CPI and WPI.
While WPI based bilateral real exchange rate gives under valuation, the CPI based bilateral real exchange rate and trade weighted real exchange rates based on WPI reveals that TL was overvalued before the eve of 2001 crises.
American Psychological Association (APA)
Civcir, Irfan. 2002. Before the fall was the Turkish lira overvalued?. Economic Research Forum : Working Paper Series،Vol. 2002, no. 201-240.
https://search.emarefa.net/detail/BIM-149200
Modern Language Association (MLA)
Civcir, Irfan. Before the fall was the Turkish lira overvalued?. Economic Research Forum : Working Paper Series No. 201-240 (Dec. 2002).
https://search.emarefa.net/detail/BIM-149200
American Medical Association (AMA)
Civcir, Irfan. Before the fall was the Turkish lira overvalued?. Economic Research Forum : Working Paper Series. 2002. Vol. 2002, no. 201-240.
https://search.emarefa.net/detail/BIM-149200
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references.
Record ID
BIM-149200